Efficient solution of many instances of a simulation-based optimization problem utilizing a partition of the decision space
Artikel i vetenskaplig tidskrift, 2017

This paper concerns the solution of a class of mathematical optimization problems with simulation-based objective functions. The decision variables are partitioned into two groups, referred to as variables and parameters, respectively, such that the objective function value is influenced more by the variables than by the parameters. We aim to solve this optimization problem for a large number of parameter settings in a computationally efficient way. The algorithm developed uses surrogate models of the objective function for a selection of parameter settings, for each of which it computes an approximately optimal solution over the domain of the variables. Then, approximate optimal solutions for other parameter settings are computed through a weighting of the surrogate models without requiring additional expensive function evaluations. We have tested the algorithm's performance on a set of global optimization problems differing with respect to both mathematical properties and numbers of variables and parameters. Our results show that it outperforms a standard and often applied approach based on a surrogate model of the objective function over the complete space of variables and parameters.

Tyres

Surrogate mode

Response surface

Simulation-based optimization

Partition of variables

Författare

Zuzana Nedelkova

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Göteborgs universitet

Michael Patriksson

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Ann-Brith Strömberg

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Annals of Operations Research

0254-5330 (ISSN) 1572-9338 (eISSN)

Drivkrafter

Hållbar utveckling

Styrkeområden

Transport

Ämneskategorier

Beräkningsmatematik